BS2 Further Statistical Inference HT08 - Lecture 6
The multivariate Gaussian distribution
This lecture describes basic facts and properties of the multivariate Gaussian distribution. There are many books on parametric multivariate analysis and they all feature this distribution extensively. An easy source to read is
Seber (1984). Multivariate Observations, Wiley, for example page 1-8 and 17-20, or
Rao (1973). Linear Statistical Inference and its Applications. 2nd edition. Wiley. Chapter 8, pages 516-525.
Last updated: Wednesday, 13 February 2008 10:29. Steffen L. Lauritzen